Article1996

TRADING PATTERNS OF SMALL AND LARGE TRADERS AROUND STOCK SPLIT EX‐DATES

51 citations0/0 files storedThe Journal of Financial Research

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Abstract

Abstract We investigate the trading patterns of small and large traders around stock split ex‐dates. Using the intraday transaction database for the Toronto Stock Exchange during 1983–89, we find that stock splits are associated with significant changes in trading patterns. Although stock splits appear to have little effect on the trading behavior of large traders (trade value of at least $100,000), they are associated with significant decreases in odd‐lot trading and increases in small board‐lot trading (trade value of less than $10,000). Although the liquidity premia decrease for all trade sizes, trade direction changes significantly from sell to buy after split ex‐dates for all but the large trades, where the change is in the opposite direction. The significant increase in variances after split ex‐dates is explained by various microstructure‐related variables, and small (large) trades appear to be (de)stabilizing.

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References

1991Inferring Trade Direction from Intraday Data 1986Noise 1993Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis 1991Stock Prices and the Supply of Information 1992Earnings news and small traders 1987Stock Splits and Stock Dividends: Why, Who, and When 1987The Market Reaction to Stock Splits 1979Liquidity Changes Following Stock Splits

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2001Volatility, autocorrelations, and trading activity after stock splits 2008Market Reaction Around the Stock Splits and Bonus Issues: Some Indian Evidence 1997The effect of Canadian stock splits, stock dividends, and reverse splits on the value of the firm 2004WHEN‐ISSUED SHARES, SMALL TRADES, AND THE VARIANCE OF RETURNS AROUND STOCK SPLITS 2007DOES VOLATILITY DECREASE AFTER REVERSE STOCK SPLITS?2005Do Stock Splits Improve Liquidity?

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